Lecture

Asset Pricing: Excess Volatility Puzzle

In course

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Description

This lecture delves into the Excess Volatility Puzzle, exploring the absence of arbitrage in asset pricing and the implications of a stochastic discount factor on asset prices. The discussion covers the relationship between stock prices and future dividends, the predictability of returns versus dividends, and the Campbell-Shiller decomposition. The lecture also examines the impact of risk-aversion, habit formation, and heterogeneous agents on asset pricing models.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_8o2rky22

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Ontological neighbourhood

Economics

Microeconomics: Financial economics

Macroeconomics: Topics in macroeconomics

Business

Finance: Corporate finance, Investment management

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